Author: Lars Peter Hansen Publisher: Princeton University Press ISBN: 0691170975 Category : Business & Economics Languages : en Pages : 453
Book Description
The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted? Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics. Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes.
Author: L. Broze Publisher: Routledge ISBN: 1136457801 Category : Business & Economics Languages : en Pages : 144
Book Description
A comprehensive exposition of rational expectations models is provided here, working up from simple univariate models to more sophisticated multivariate and non-linear models.
Author: William A. Barnett Publisher: Cambridge University Press ISBN: 9780521392198 Category : Business & Economics Languages : en Pages : 504
Book Description
The Sixth Annual International Symposium in Economic Theory and Econometrics was dedicated to Jacques Drèze on the occasion of his retirement.
Author: Lars Peter Hansen Publisher: CRC Press ISBN: 1000237087 Category : Mathematics Languages : en Pages : 305
Book Description
At the core of the rational expectations revolution is the insight that economic policy does not operate independently of economic agents' knowledge of that policy and their expectations of the effects of that policy. This means that there are very complicated feedback relationships existing between policy and the behaviour of economic agents, and these relationships pose very difficult problems in econometrics when one tries to exploit the rational expectations insight in formal economic modelling. This volume consists of work by two rational expectations pioneers dealing with the "nuts and bolts" problems of modelling the complications introduced by rational expectations. Each paper deals with aspects of the problem of making inferences about parameters of a dynamic economic model on the basis of time series observations. Each exploits restrictions on an econometric model imposed by the hypothesis that agents within the model have rational expectations.
Author: Roger Guesnerie Publisher: MIT Press ISBN: 9780262262903 Category : Business & Economics Languages : en Pages : 498
Book Description
A theoretical assessment of the Rational Expectations Hypothesis through subjecting a collection of economic models to an "eductive stability" test. The rational expectations hypothesis (REH) dominates economic modeling in areas ranging from monetary theory, macroeconomics, and general equilibrium to finance. In this book, Roger Guesnerie continues the critical analysis of the REH begun in his Assessing Rational Expectations: Sunspot Multiplicity and Economic Fluctuations, which dealt with the questions raised by multiplicity and its implications for a theory of endogenous fluctuations. This second volume emphasizes "eductive" learning: relying on careful reasoning, agents must deduce what other agents guess, a process that differs from the standard evolutionary learning experience in which agents make decisions about the future based on past experiences. A broad "eductive" stability test is proposed that includes common knowledge and results in a unique "rationalizable expectations equilibrium." This test provides the basis for Guesnerie's theoretical assessment of the plausibility of the REH's expectational coordination, emphasizing, for different categories of economic models, conditions for the REH's success or failure. Guesnerie begins by presenting the concepts and methods of the eductive stability analysis in selected partial equilibrium models. He then explores to what extent general equilibrium strategic complementarities interfere with partial equilibrium considerations in the formation of stable expectations. Guesnerie next examines two issues relating to eductive stability in financial market models, speculation and asymmetric price information. The dynamic settings of an infinite horizon model are then taken up, and particular standard and generalized saddle-path solutions are scrutinized. Guesnerie concludes with a review of general questions and some "cautious" remarks on the policy implications of his analysis.
Author: John Eatwell Publisher: W. W. Norton & Company ISBN: 9780393958560 Category : Business & Economics Languages : en Pages : 306
Book Description
"First published in the New Palgrave: a dictionary of economics ... in four volumes, 1987"--T.p. verso. Includes bibliographical references.
Author: Andrew J. Hughes Hallett Publisher: Springer Science & Business Media ISBN: 1461552192 Category : Business & Economics Languages : en Pages : 295
Book Description
Macroeconomic Modelling has undergone radical changes in the last few years. There has been considerable innovation in developing robust solution techniques for the new breed of increasingly complex models. Similarly there has been a growing consensus on their long run and dynamic properties, as well as much development on existing themes such as modelling expectations and policy rules. This edited volume focuses on those areas which have undergone the most significant and imaginative developments and brings together the very best of modelling practice. We include specific sections on (I) Solving Large Macroeconomic Models, (II) Rational Expectations and Learning Approaches, (III) Macro Dynamics, and (IV) Long Run and Closures. All of the contributions offer new research whilst putting their developments firmly in context and as such will influence much future research in the area. It will be an invaluable text for those in policy institutions as well as academics and advanced students in the fields of economics, mathematics, business and government. Our contributors include those working in central banks, the IMF, European Commission and established academics.
Author: John Eatwell Publisher: Springer ISBN: 1349205702 Category : Business & Economics Languages : en Pages : 296
Book Description
This is an excerpt from the 4-volume dictionary of economics, a reference book which aims to define the subject of economics today. 1300 subject entries in the complete work cover the broad themes of economic theory. This extract concentrates on econometrics.
Author: John Eatwell Publisher: W. W. Norton & Company ISBN: 9780393027389 Category : Business & Economics Languages : en Pages : 340
Book Description
Each volume in this series includes a collection of authoritative essays from the New Palgrave: A Dictionary of Economics, selected by the Editors to illustrate the range and diversity of economic thought on a particular topic.
Author: Lars Peter Hansen
Author: L. Broze
Author: William A. Barnett
Author: Lars Peter Hansen
Author: Roger Guesnerie
Author: John Eatwell
Author: Michael Woodford
Author: Andrew J. Hughes Hallett
Author: John Eatwell
Author: John Eatwell